Document Type : Research Paper

Authors

• Mahnaz Asgari ¹
• Morteza khodabin ²

¹ Department of Engineering,~Abhar Branch,~Islamic Azad University, Abhar, Iran

² Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran

Abstract

In this article, a new numerical method based on triangular functions for solving  nonlinear stochastic differential equations is presented. For this, the stochastic operational matrix of triangular functions for It\^{o} integral are determined. Computation of presented method is very simple and attractive. In addition, convergence analysis and numerical examples that illustrate accuracy and efficiency of the method are presented.

Keywords

• Brownian motion
• It^{o} integral
• Nonlinear stochastic differential equation
• Stochastic operational matrix
• Triangular function